Do it in the HUD.
Create a blueprint interface to make your enemies and HUD communicate with each other. Get your enemies to tell your HUD if there is a threat (bool) and the direction of that threat (float - between 0 and 360 to represent the angle). Then get the HUD to draw an arrow material (since you’ll use an arrow texture you’ll need an opacity mask) rotated accordingly with a pivot point of (PivotX,PivotY)=(0.5,0.5).